Viki, the file, when exported should be saved as a ".ged" extension file. A ".PAF" file is a main data file. If the file is attempting to open, as you say, with Adobe Illustrator, it means that the file association is set incorrectly. However, I feel you may be looking at the wrong file.
When you have your PAF program up and running, click on HELP then in CONTENTS, click on "Managing .paf files" to open it. Then select "How to combine .paf files". The instructions will then appear on the right of your screen. Just follow the steps outlined there. A most important step, though is to NAME your GEDCOM file BEFORE you click on SAVE (don't just leave "*.ged"). Also note where you are saving the file, so you can locate it later.